Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0957 |
| Annualized Std Dev | 0.2342 |
| Annualized Sharpe (Rf=0%) | 0.4088 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3446.0000 |
| NAs | 1.0000 |
| Minimum | -0.0997 |
| Quartile 1 | -0.0056 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0073 |
| Maximum | 0.1363 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0002 |
| Stdev | 0.0148 |
| Skewness | -0.1479 |
| Kurtosis | 8.9214 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0107 |
| Gain Deviation | 0.0104 |
| Loss Deviation | 0.0117 |
| Downside Deviation (MAR=210%) | 0.0151 |
| Downside Deviation (Rf=0%) | 0.0105 |
| Downside Deviation (0%) | 0.0105 |
| Maximum Drawdown | 0.6164 |
| Historical VaR (95%) | -0.0222 |
| Historical ES (95%) | -0.0361 |
| Modified VaR (95%) | -0.0218 |
| Modified ES (95%) | -0.0350 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-20 | 2009-03-06 | 2013-01-10 | -0.6164 | 1270 | 342 | 928 |
| 2020-02-13 | 2020-03-23 | 2020-10-08 | -0.4237 | 166 | 27 | 139 |
| 2018-09-19 | 2018-12-24 | 2019-09-13 | -0.2497 | 248 | 67 | 181 |
| 2015-02-23 | 2016-01-20 | 2016-07-14 | -0.1943 | 351 | 229 | 122 |
| 2018-01-29 | 2018-05-03 | 2018-09-14 | -0.1133 | 160 | 67 | 93 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.7 | -0.7 | -1.3 |
| 2007 | 1.5 | 0.9 | -1.7 | -1 | 0.7 | -0.1 | 0.8 | 1.4 | 1.4 | -2.2 | 1.3 | -0.5 | 2.4 |
| 2008 | 1 | -2.8 | 4 | 0 | 0.4 | -1.3 | -0.3 | -0.9 | 0.5 | 3.3 | -4 | 2.2 | 1.9 |
| 2009 | -4.1 | -2.3 | 5.6 | -0.1 | 6.7 | -0.3 | 3.1 | -0.9 | -2.2 | -2.8 | 1.1 | -0.7 | 2.4 |
| 2010 | 1.6 | 1.8 | 0.5 | -1.6 | -2.6 | -2.2 | 0.1 | 3.6 | -0.4 | 0.5 | 2.4 | 0.1 | 3.8 |
| 2011 | 1.4 | -1.3 | 0.8 | 0.3 | -2.3 | 1.8 | -2 | -1.4 | -0.5 | -4.2 | 0.7 | -0.4 | -7 |
| 2012 | 1.5 | 0 | 0.3 | 0.5 | -2.3 | 4.1 | -0.7 | 0.3 | 1.2 | 2 | 0.2 | 1.1 | 8.4 |
| 2013 | 0.7 | -0.8 | -1.5 | -0.3 | -0.3 | 0.9 | 1.7 | -0.7 | 0.9 | 0.5 | 0.1 | 0.3 | 1.6 |
| 2014 | -0.2 | 0.3 | 1 | -0.5 | 0.1 | 0.7 | -0.3 | -0.1 | -2 | 1 | -1.4 | -0.7 | -2.2 |
| 2015 | -1.3 | -0.3 | -1 | 1 | 0.2 | 0.3 | -0.2 | -3 | -0.1 | 0.5 | 0.6 | -0.8 | -4.1 |
| 2016 | 0.3 | 1.8 | 0.1 | -0.8 | 0 | 0.6 | -0.5 | 0.2 | 0.9 | -1.2 | 0.6 | -0.4 | 1.5 |
| 2017 | -0.1 | 1.6 | -0.2 | -0.1 | 0.8 | 1.2 | 0 | 0.2 | 0.6 | -0.1 | -0.9 | -0.2 | 2.9 |
| 2018 | -0.2 | -1.8 | 1.9 | -0.3 | 0.9 | 0.2 | -0.9 | 0.2 | 0.3 | 2.1 | 0.7 | 0.8 | 3.9 |
| 2019 | 0.1 | 0.4 | 2 | -0.4 | -1.4 | 0.5 | -2.2 | 0.4 | -2.3 | 2.2 | -0.6 | 0.1 | -1.2 |
| 2020 | -2.3 | -2.1 | -4.5 | -3.2 | 0.8 | -1 | -0.3 | 1.1 | -0.3 | -0.1 | 0.1 | 0.6 | -10.6 |
| 2021 | 1.3 | 2.1 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-11-07 49.9 SPY 139. 0.0038 0.006 0.0261 0.0916 0.134 0.303 0.233 GLD 62.0 0.00240 0.0299
2 2006-11-09 50.0 SPY 138. -0.0053 0.0102 0.0227 0.0879 0.129 0.314 0.227 GLD 63.0 0.0301 0.0166
3 2006-11-10 50.0 SPY 138. 0.0004 0.0125 0.0144 0.0876 0.121 0.315 0.226 GLD 62.5 -0.0073 0.003
4 2006-11-13 50.2 SPY 139. 0.0025 0.0036 0.0143 0.0774 0.120 0.303 0.237 GLD 62.2 -0.00480 0.00480
5 2006-11-15 50.9 SPY 140. 0.00290 0.008 0.0265 0.0768 0.136 0.328 0.221 GLD 61.8 0.0034 0.0119
6 2006-11-16 51.1 SPY 140. 0.0026 0.0159 0.0277 0.0741 0.137 0.338 0.222 GLD 61.3 -0.0086 -0.0261
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
